Which of the following variables would most likely serve as an input in these models?

A risk manager is considering how to best quantify option price dynamics using mathematical option pricing models.

Which of the following variables would most likely serve as an input in these models?

I. Implicit parameter estimate based on observed market prices

II. Estimates of sensitivity of option prices to parameter changes

III. Theoretical option determination based on assumptions
A . I, III
B . II
C . II, III
D . I, II, III

View Answer

Answer: D